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Statistik › Saisonalität und Kalender › Monday effect

The Monday effect ran for sixty years, flipped positive in the 1990s and has been zero since

1900s: -0.01-0.011900s1910s: -0.06-0.061910s1920s: -0.26-0.261920s1930s: -0.30-0.301930s1940s: -0.08-0.081940s1950s: -0.14-0.141950s1960s: -0.17-0.171960s1970s: -0.12-0.121970s1980s: -0.06-0.061980s1990s: 0.16+0.161990s2000s: 0.03+0.032000s2010s: 0.03+0.032010s

Average Monday return on the Dow Jones Industrial Average in percent, by decade, 1900 to 2018. Significant and negative in the 1920s through the 1980s. Significantly positive in the 1990s, which the source paper does not discuss. Not significant in the 2000s or 2010s. The 2010s row is shorter, covering 2010 to 2018.

Average Monday returns on the Dow were negative and significant in six consecutive decades, turned significantly positive in the 1990s, and have been statistically indistinguishable from zero in both of the decades since. What remains is confined to small caps.

-0.17%Average Monday return on the Dow, 1960 to 1969, t = -6.48
+0.16%The same for 1990 to 1999, t = +2.57
+0.03%The same for 2010 to 2018, not significant
+0.001%Monday abnormal return, value-weighted CRSP, 1989 to 2006, p = 0.49

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